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Bank Portfolio Management under Credit Market Imperfections  [PDF]
Indrajit Mallick
Journal of Mathematical Finance (JMF) , 2019, DOI: 10.4236/jmf.2019.93013
Abstract: This paper examines bank portfolio management under banking regulation and asymmetric information about borrower types and screening by banks and imperfect competition in the credit market. A bank tries to maximize expected profit subject to a portfolio variance constraint. The analysis yields the following results: For a monopoly bank, the incentive constraint of the efficient type of borrowers will be binding and the participation constraint of the inefficient type of borrowers will be binding. Further, given the variance constraint being binding, the optimal portfolio will be on the efficiency frontier. The paper also examines duopoly competition between aggressive (predator) and defensive (prey) banks and the scope for potential cooperation and reveals that among the alternatives of natural monopoly, entry deterrence, takeovers and efficient portfolio diversification through mergers or interest swaps, the cooperative efficient portfolio diversification strategy will dominate any non-cooperative strategy whenever portfolio returns are negatively correlated between any pair of interacting banks as it reduces portfolio variance for a given package of interest and loans.
Interest Rate Risk Management and Dynamic Portfolio Selections  [PDF]
Hang Sun, Wan-gui Sun
Modern Economy (ME) , 2011, DOI: 10.4236/me.2011.24075
Abstract: The dynamic portfolio selections in the sense of Markowitz’s mean-variance are addressed in an incomplete market and the effect of interest rate risk on them is discussed. According to Markowitz’s measure risk approach, the interest rate risk is divided into the controllable risk and the uncontrollable risk. The former can be hedged, but the latter cannot. The zero-coupon bond is an efficient tool to avoid the interest rate risk. The optimal payoff resulting from self-financed strategies and the mean-variance efficient frontier are expressed explicitly. The results show that the optimal payoff and the efficient frontier are not affected by the controllable risk of interest rate, but by the uncontrollable risk. The efficient frontier is a part of a hyperbola if there exists the uncontrollable risk. The expected optimal payoff grows with the increase of risk; however, the margin expected optimal payoff lowers. The efficient frontier is a straight line if and only if there is no uncontrollable risk.
The Impact of Home Equity and Housing Provident Fund on the Household’s Stock Investment  [PDF]
Hanjuan Zhu
Open Journal of Social Sciences (JSS) , 2019, DOI: 10.4236/jss.2019.78016
Abstract: Based on the (CHFS) data of Chinese household finance survey, this paper divides the housing wealth of residents into housing net value and housing loan. On this basis, adding the virtual variable of whether to own provident fund or not, Probit model and Tobit model are used to investigate the change of housing net value and the influence of owning housing provident fund on the participation of family stock market. The empirical results show that the increase of net housing value will significantly increase the proportion of households participating in the stock market and the shareholding rate. Families with provident fund accounts are also more willing to join the stock market than those without provident fund accounts, and their shareholdings are higher.
Stock Selection Using Skewness to Construct a Portfolio and the Effects of Variables on Portfolio Return  [PDF]
Adler Haymans Manurung, Nera Marinda Machdar, John Edward Harly Jacob Foeh, Jhonni Sinaga
Open Journal of Business and Management (OJBM) , 2023, DOI: 10.4236/ojbm.2023.113055
Abstract: This study aims to investigate the effects of stock selection while constructing a portfolio using Skewness as well as the factors affecting portfolio return. This study was carried out in three stages: stock selection based on skewness, asset allocation based on Quadratic Programming, and portfolio return calculation based on market return and external factors. To assess and select portfolios, this study employs a novel methodology that combines key financial and non-financial characteristics with a skewness model. The research’s findings are as follows. First, skewness could be used to select the stocks that are added to a portfolio. Second, the market capitalization weighted portfolio generated the best return compared to the other two portfolios. Third, market return and the pandemic era have a significant impact on portfolio returns that are equally weighted, market capitalization weighted, and Markowitz weighted. Fourth, investors do not require fund management expertise to manage investor funds.
Portfolio Diversification of Global Stock Indices and the Predictive Power of Macro-Economic Signals on the SPX Index  [PDF]
Chenming Yan
Open Journal of Business and Management (OJBM) , 2024, DOI: 10.4236/ojbm.2024.125158
Abstract: This study presents and analyzes the performance dynamics of NIFTY, SPX, and HSI indices from September 2011 to October 2022. Meanwhile, it also sheds light on the correlation between the major stock market indexes and macroeconomic signals (SPX and US macroeconomic signals here, for example). I employ a robust analytical framework and statistical tests to evaluate performance metrics and assess the performance of various diversified portfolios. Moreover, I apply regression techniques to explore the predictive power of macroeconomic signals on SPX movements. My key findings are: 1) specific diversification strategies significantly improve performance compared against individual indices, and 2) certain macroeconomic indicators demonstrate predictive power to the SPX index’s performance.
Performance of Quantitative Investment Strategies in Different Market Cycles: A Comparative Analysis  [PDF]
Jiaxu Li
Open Journal of Social Sciences (JSS) , 2024, DOI: 10.4236/jss.2024.1212033
Abstract: The cyclical fluctuations of financial markets have long been an important topic in investment theory research. Quantitative investment strategies, due to their systematic and objective nature, are gaining increasing attention in the investment field. This study focuses on the theoretical performance differences of quantitative investment strategies in different market cycles, aiming to assess their adaptability and robustness. The research deeply analyzes the theoretical foundations of typical quantitative strategies such as momentum strategies, value investing, and statistical arbitrage, and discusses their expected performance and risk characteristics in bull markets, bear markets, and oscillating markets. The study finds that different strategies may exhibit significant performance differences in various market environments. For example, momentum strategies are theoretically expected to excel in clear-trend bull markets but may face challenges at market turning points. Value investment strategies, on the other hand, are theoretically expected to show stronger defensive characteristics in bear markets. Based on these theoretical analyses, this study proposes a conceptual framework for dynamically adjusting strategy allocation according to market cycles to optimize the overall performance of investment portfolios. This research not only deepens the understanding of the essence of quantitative strategies but also provides new insights for constructing robust investment theories across full market cycles.
Happy days: confec？？o de roupas para lojas de grife
Carneiro, Jorge Manoel Teixeira;
Revista de Administra？？o Contemporanea , 2005, DOI: 10.1590/S1415-65552005000300010
Abstract: happy days is a clothes manufacturer that specialized in women's clothes to be sold on order to prestigious stores in rio de janeiro. in 2004, after overcoming severe financial difficulties in the early days, the company could celebrate its success in the marketplace. clients in rio de janeiro were increasing their purchases and the company started to receive relevant orders form other states as well as from other cities in the state of rio de janeiro. the success of the sales notwithstanding, the founder of the company knew that there were two important issues that needed attention: the choice of the proper portfolio of clients and the definition of the prices to charge for its distinctive pieces.
THE MANAGEMENT OF A PORTFOLIO IN THE CONDITIONS OF ECONOMIC CRISIS
ILIE R？SCOLEAN,CLAUDIA ISAC,ROBERT SZABO
Annals of the University of Petrosani : Economics , 2010,
Abstract: The need for money is one of the main financial goals of any company. Such needs have led to specific segments of demand and supply that demand for money and the money supply, in particular capital. Were created following specific markets: financial markets, with specialized division of labour in money markets and capital markets. Capital market is to supply and demand for medium and long term capital, with the same role as the financial market in general, having featured the long duration of maturity. From the viewpoint of the agents involved two types of markets that is the primary market, which are negotiated in the presence of primary and secondary securities issuer, that and his participation, and market secondary market investors, financial flows are directed to a investor to another. Institution typical secondary capital market is the stock market. Coverage of financial instruments, according to EU directives in force, is broad, including both tradable capital market instruments and money market instruments. Investment is defined in national accounts as gross fixed capital formation is the value of durable goods purchased by the production units to be used at least one year in production processes. The investment flow is therefore measured over a period, often a year, noted that the yield from an investment is proportional to the risk assumed. Investing in shares of the opportunity to diversify revenue and achieving consistent earnings, earnings from sales and purchases of shares may be significantly higher earnings from a bank.
Portfolio theory application wtih gold numismatic assets and precious metal
Camilo Prado Román,José Luis Coca Pérez,Pablo García Estévez
Cuadernos de Gestión , 2012,
Abstract: Our objective is to build different Precious Metals (gold, silver, palladium, platinum and rhodium) and Gold Numismatic Asset Portfolios. The purpose is being able to build the best portfolio for the different investors and to know The Market Portfolio. For that, by means of The Portfolio Theory methodology (Markowitz, 1952; 1959), we build the efficient frontier and we will trace the Capital Market Line, CML. The program we use is Matlab (financial Toolkit). Research sample is composed by gold numismatic assets and precious metals. Those assets have been issued by Spain, USA, Great Britain and France from 1900 to 2009, and the research period is to 2003-2009. The results obtained confirm those not financial assets selected to build the efficient portfolio and the Market Portfolio.
Portfolio de produ？？o agropecuária e gest？o de riscos de mercado nas cooperativas do agronegócio paranaense
Moreira, Vilmar Rodrigues;Barreiros, Reginaldo Ferreira;Protil, Roberto Max;
Revista de Administra？？o (S？o Paulo) , 2011, DOI: 10.5700/rausp1015
Abstract: this paper shows an assessment of the practice of market risk management among cooperatives in the state of paraná (brazil) and a study of the agricultural production portfolio of this state, taking into account the risk-return relationship. using the markowitz model along with an e-v analysis, an efficiency boundary was determined in which it was possible to verify what portfolio changes would be required to achieve economic efficiency (defined here as the trade-off between risk and return). through questionnaires and interviews, an analysis was conducted of the cooperatives' willingness to encourage such changes in their portfolios and in the production of their members. it was also possible to assess the degree of importance ascribed to sources of market risk and to a set of strategies that could be adopted to deal with these risks. the overall goal of this study was to evaluate what might be the influence of the cooperatives on changing production preferences, in order to improve the risk-return relationship. the authors found that the main motives that might affect production decisions are related to economic and rational aspects, such as the cooperative's strategic focus and the resistance of its members. motives related to political or social aspects, intrinsic to the organizational characteristics of the cooperatives, do not have a substantial influence on the decisions about diversification as a management tool for the management of market risks within the parana state context.
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